Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0762
Annualized Std Dev 0.2358
Annualized Sharpe (Rf=0%) 0.3231

Row

Daily Return Statistics

Close
Observations 2830.0000
NAs 1.0000
Minimum -0.1245
Quartile 1 -0.0061
Median 0.0010
Arithmetic Mean 0.0004
Geometric Mean 0.0003
Quartile 3 0.0075
Maximum 0.1058
SE Mean 0.0003
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0009
Variance 0.0002
Stdev 0.0149
Skewness -0.5329
Kurtosis 8.7217

Downside Risk

Close
Semi Deviation 0.0109
Gain Deviation 0.0101
Loss Deviation 0.0120
Downside Deviation (MAR=210%) 0.0154
Downside Deviation (Rf=0%) 0.0108
Downside Deviation (0%) 0.0108
Maximum Drawdown 0.5467
Historical VaR (95%) -0.0233
Historical ES (95%) -0.0361
Modified VaR (95%) -0.0236
Modified ES (95%) -0.0485
From Trough To Depth Length To Trough Recovery
2007-07-20 2009-03-09 2013-05-06 -0.5467 1145 353 792
2020-02-20 2020-03-23 2020-11-16 -0.4247 149 22 127
2014-09-05 2016-02-08 2016-11-22 -0.2305 405 267 138
2018-09-21 2018-12-27 2020-01-16 -0.2291 283 63 220
2018-01-29 2018-02-09 2018-06-06 -0.0893 81 9 72

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2006 NA NA NA NA NA NA NA NA NA NA NA -0.6 -0.6
2007 0.3 -0.3 0.2 -1.4 0.6 -0.1 -1.1 1.8 1.1 -1.3 1.9 -0.9 0.7
2008 4.7 -2.4 1.7 -0.8 0.4 -1 -0.3 -0.9 0.1 1 0.7 1.6 4.9
2009 -0.8 0.7 -0.8 1.7 0.7 1.3 1.1 -3.8 -2.1 -1 2.3 0.1 -0.7
2010 1 1.7 0.3 -0.1 -0.5 -1.9 -0.8 2.7 0.3 -0.1 0.1 -0.1 2.5
2011 0.9 1.2 0.3 0.3 -1.7 1.6 -2.6 -1.3 -0.7 -2.9 0.8 0.1 -4.1
2012 2 -0.4 0.5 1.1 -0.9 3.3 -1.3 0.3 0.8 1 0.6 -1.9 5
2013 -0.2 -0.5 -0.1 0 -1 0.7 1.2 -2.4 1 0.2 0.5 -0.2 -0.8
2014 0.8 1 1 0.1 0.2 0.9 0 0.3 -1.4 2 -1.9 -0.9 2
2015 -1.4 -0.1 -0.3 -0.5 -0.1 0.8 0.3 -2.6 1.7 0 0.1 -1.1 -3.3
2016 -0.2 1 0.7 0 0.2 0.4 -0.8 -0.5 0.8 -0.5 -0.4 -0.5 0.1
2017 0.5 1.6 0 0 0.2 1.1 0.3 0.7 0.5 1.2 -0.7 0 5.5
2018 -0.7 -1.9 0.9 0.1 0.6 0.7 -0.7 0.2 0.3 0.6 0.7 0.1 0.7
2019 0.9 0.6 1.1 0.4 0.1 1.4 -1.9 0 -1.7 -0.7 -0.4 -0.2 -0.5
2020 -2 -1.6 -6.1 -4.1 1.5 -0.3 1 0.8 1.2 -1.7 -1.7 0.2 -12.6
2021 1.8 2.8 1.2 NA NA NA NA NA NA NA NA NA 5.9

Row

Price Chart

# tidytable [6 × 5]
  datadate   Close   spy   gld   rel
  <date>     <dbl> <dbl> <dbl> <dbl>
1 2006-12-07  19.9  141.  62.7  19.9
2 2006-12-08  19.9  141.  62.0  19.8
3 2006-12-11  19.9  142.  62.6  19.8
4 2006-12-12  19.8  142.  62.5  19.8
5 2006-12-13  19.9  142.  62.5  19.8
6 2006-12-14  20.1  143.  62.1  19.8

Row

Rolling Performance Chart

Row

Snail Trail Chart